HD vs LOW: returns, Sharpe ratio and drawdown
Performance
HD-22.62%LOW-19.90%
Summary
HD vs LOW
Over the past year, LOW returned -19.90% against -22.62% for HD. Over five years, LOW averaged -3.24% a year, compared with -3.67% for HD. LOW had the higher Sharpe ratio over the past year (-0.84 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -28.26% for HD and -37.59% for LOW.
Current Drawdown
HD-25.81%LOW-35.33%
Rolling Volatility
HD+1.48%LOW+1.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HDLOW
Alpha
HD
-37.26%
LOW
-32.08%
Beta
HD
0.72x
LOW
0.63x
Sharpe
HD
-1.04
LOW
-0.84
Sortino
HD
-1.46
LOW
-1.19
Omega
HD
0.85
LOW
0.87
Calmar
HD
-0.80
LOW
-0.53
Martin
HD
-1.90
LOW
-1.19